Check to see whether SteamVR is running - it forces the client window to close.
For now I’ve gotten around this by disabling the SteamVR plugin for the project and can now open two client windows.
(UE5 EA2, SteamVR v.1.19.7)
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I got caught with this as well. It drove me crazy until I realised you can’t launch 2 instances while VR is enabled, and I only disabled it because it kept popping up as I launched the project so I disabled it.
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